A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES

DOI10.1111/j.1467-9892.1984.tb00384.xzbMath0541.62072OpenAlexW1983252614MaRDI QIDQ3327558

Eduardo M. R. A. Engel

Publication date: 1984

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00384.x

zbMATH Keywords

autocovariance functionproductssumsautoregressive-moving average modeltransformed variablestime-aggregationBox and Jenkins transfer function modelfunctions of ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

On the study of some functions of multivariate ARMA processes ⋮ Identification of composite (∑+II) arma models by relatively simpler models ⋮ A single series representation of multiple independent ARMA processes ⋮ A looser cointegration concept using fractional integration parameters and quantification of market responsiveness ⋮ Structural econometric modeling and time series analysis ⋮ Unnamed Item ⋮ Maximum likelihood estimation for arma models in the presence of ARMA errors

Cites Work

• A note on the time series which is the product of two stationary time series
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Unnamed Item